The Effect of FED Interest Rate Decisions on Stocks: S&P 500 Financials Analysis

Yıl 2024, Cilt: 24 Sayı: 1, 1 - 17, 25.03.2024

Faruk Temel Hidayet Güneş

https://doi.org/10.11616/asbi.1391464

Öz

The aim of this study is to examine reactions of the stocks in the S&P 500 Financial Index to the interest rate decisions of the FED by using the event study method. In the study, in which 4 events with sufficient forecast periods among the interest rate changes between 2015 and 2023 were examined for 12 event windows, and it was determined that abnormal returns were mostly not statistically significant. Due to the limited statistically significant positive or negative abnormal returns, efficiency can be attributed to the S&P 500. Given the efficiency of the market, investors may not consistently beat the market, so they can adopt a passive investment strategy by turning to index funds or exchange-traded funds. In addition, investors can reduce the risk of their investments through portfolio diversification. The study, which provides a comprehensive analysis, fills an important gap in the literature.

Anahtar Kelimeler

FED Interest Rate Decisions, S&P 500 Financials, Event Study

FED Faiz Kararlarının Hisse Senetlerine Etkisi: S&P 500 Financials Analizi

Öz

Bu çalışmanın amacı S&P 500 Financials Endeksindeki hisse senetlerinin, FED’in faiz kararlarına karşı verdiği tepkilerin olay çalışması yöntemi ile incelenmesidir. 2015-2023 yılları arası faiz değişikliklerinden, yeterli tahmin periyoduna sahip 4 olayın 12 olay penceresi için incelendiği çalışmada anormal getirilerin çoğunlukla istatistiksel olarak anlamlı olmadığı tespit edilmiştir. İstatistiksel olarak anlamlı pozitif ya da negatif anormal getirinin sınırlı olması nedeniyle S&P 500 için etkinlikten söz edilebilmektedir. Piyasanın etkinliği nedeniyle yatırımcılar piyasayı sürekli yenemeyeceği için endeks fonlarına ya da borsa yatırım fonlarına yönelerek pasif yatırım stratejisi izleyebilirler. Ayrıca yatırımcılar portföy çeşitlendirmesi ile yatırımlarının riskini azaltabilirler. Kapsamlı analizin yapıldığı çalışma, literatürdeki önemli bir boşluğu doldurmaktadır.

Anahtar Kelimeler

FED Faiz Kararları, S&P 500 Financials, Olay Çalışması

Kaynakça

• Andersson, M. (2007), Using Intraday Data to Gauge Financial Market Responses to FED and ECB Monetary Policy Decisions, European Central Bank Working Paper Series, 726, s.1-33.
• Armitage, S. (1995), Event Study Methods and Evidence on Their Performance, Journal of Economic Surveys, 9(1), s.25-52.
• Benninga, S. (2014), Financial Modeling (Fourth edition), Cambridge, Massachusetts: The MIT Press.
• Bernanke, B.S. ve Kuttner, K.N. (2005), What Explains the Stock Market’s Reaction to Federal Reserve Policy?, The Journal of Finance, 60(3), s.1221-1257.
• Bjørnland, H.C. ve Leitemo, K. (2009), Identifying the Interdependence Between US Monetary Policy and the Stock Market, Journal of Monetary Economics, 56(2), s.275-282.
• Bleich, D., Fendel, R. ve Rülke, J-C. (2013), Monetary Policy and Stock Market Volatility, Deutsche Bundesbank Discussion Paper, 45/2013, s.1-8.
• Bodie, Z., Kane, A. ve Marcus, A. J. (2014), Investments (10th edition), New York, USA: McGraw-Hill Education.
• Brown, S. J. ve Warner, J. B. (1980), Measuring Security Price Performance, Journal of Financial Economics, 8(3), s.205-258.
• Campbell, J. Y., Lo, W. ve MacKinlay, A. C. (1997), The Econometrics of Financial Markets, Princeton, New Jersey, USA: Princeton University Press.
• Challe, E. ve Giannitsarou, C. (2012), Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach, Ecole Polytechnique, 20, s.1-28.
• Crain, R. ve Martin, V. L. (2008), International Monetary Policy Surprise Spillovers, Journal of International Economics, 75, s.180-196.
• Demireli, E., Akkaya, G. C. ve İbaş, E. (2010), Finansal Piyasa Etkinliği: S&P 500 Üzerine Bir Uygulama, CÜ İktisadi ve İdari Bilimler Dergisi, 11(2), s.53-67.
• Duran, M., Özlü, P. ve Ünalmış, D. (2010), TCMB Faiz Kararlarının Hisse Senedi Piyasaları Üzerine Etkisi, Central Bank Review, 10(2), s.23-32.
• Dündar, N. (2020), FED ve ECB'nin Para Politikası ve Büyüme Arasındaki İlişki: Türkiye İçin VAR Analizi (2000-2017), Journal of International Social Research, 13(69), s.1149-1158.
• Eryigit, C. ve Eryigit, M. (2017), The Effect of Sponsorship Announcements on Stock Returns: Does Industry Concentration Matter?, PEOPLE: International Journal of Social Sciences, 3(3), s.239-251.
• Fama, E. F. (1991), Efficient Capital Markets: II, The Journal of Finance, 46(5), s.1575-1617.
• Gürkaynak, R. S. ve Wright, J. H. (2013), Identification and Inference Using Event Studies, The Manchester School, 81, s.48-65.
• Hausman, J. ve Wongswan, J. (2011), Global Asset Prices and FOMC Announcements, Journal of International Money and Finance, 30(3), s.547-571.
• Jiang, Y. ve Wang, G. (2017), Monetary Policy Surprises and the Responses of Asset Prices: An Event Study Analysis, SocioEconomic Challenges, 1(3), s.22-44.
• Kontonikas, A., MacDonald, R. ve Saggu, A. (2013), Stock Market Reaction to FED Funds Rate Surprises: State Dependence and the Financial Crisis, Journal of Banking & Finance, 37(11), s.4025-4037.
• Long, T. Q. ve Morgan, P. J. (2023), Monetary Policies and Financial Stress During the COVID-19 Pandemic: An Event Study Analysis, Emerging Markets Finance and Trade, 59(5), s.1572-1590.
• Lummer, S. L. ve McConnell, J. J. (1989), Further Evidence on the Bank Lending Process and the Capital-Market Response to Bank Loan Agreements, Journal of Financial Economics, 25(1), s.99-122.
• MacKinlay, A. C. (1997), Event Studies in Economics and Finance, Journal of Economic Literature, 35(1), s.13-39.
• Maran, R. (2022), Reaction of the Philippine Stock Market to Domestic Monetary Policy Surprises: An Event Study Approach, Journal of Applied Economic Sciences (JAES), 17(78), s.289-301.
• Neely, C. (2010), The Large-Scale Asset Purchases Had Large International Effects, Federal Reserve Bank of St. Louis Working Paper Series, 2010-018, s.1-48.
• Pacicco, F., Vena, L. ve Venegoni, A. (2018), Event Study Estimations Using Stata: The Estudy Command, The Stata Journal, 18(2), s.461-476.
• Rebucci, A., Hartley, J. S. ve Jiménez, D. (2022), An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies, (Ed.:, A. Chudik, C. Hsiao ve A. Timmermann), Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling (Vol. 43, s.291-322). Emerald Publishing Limited.
• Rigobon, R. ve Sack, B. (2004), The Impact of Monetary Policy on Asset Prices, Journal of Monetary Economics, 51, s.1553-1575.
• Rosa, C. (2011), The Validity of The Event-Study Approach: Evidence from the Impact of The FED’s Monetary Policy on US and Foreign Asset Prices, Economica, 78, s.429-439.
• Rounaghi, M. M. ve Zadeh, F. N. (2016), Investigation of Market Efficiency and Financial Stability Between S&P 500 and London Stock Exchange: Monthly and Yearly Forecasting of Time Series Stock Returns Using Arma Model, Physica A: Statistical Mechanics and its Applications, 456, s.10-21.
• Shanti, R., Wibowo, W. A., Sembel, R. M. ve Manurung, A. H. (2022), The Effects of the Monetary Policy on the Banking Sector Index in Indonesia during the COVID-19 Pandemic: An Event Study Analysis, American International Journal of Business Management, 5(12), s.32-40.
• Sitthipongpanich, T. (2011), Understanding The Event Study, Journal of Business Administration, 34(130), s.59-68.
• Swanson, E. T. (2011), Let's Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2, Brookings Papers on Economic Activity, 2011(1), s.151-188.
• Ünalmış, D. ve Ünalmış, I. (2015), The Effects of Conventional and Unconventional Monetary Policy Surprises on Asset Markets in The United States, MPRA Paper, 62585, s.1-16.
• Yahoo Finance (2023). https://finance.yahoo.com/ (Erişim tarihi: 27.07.2023).
• Yang, J. S., Kwak, W., Kaizoji, T. ve Kim, I. M. (2008), Increasing Market Efficiency in The Stock Markets., The European Physical Journal B, 61, s.241-246.